The purpose of a model is not only to maximize reward but to optimise the reward to risk ratio. Higher losses could offset that ratio even with slightly improved reward.
The purpose of a model is not only to maximize reward but to optimise the reward to risk ratio. Higher losses could offset that ratio even with slightly improved reward.
Look like this filter is used to identify the short covering activity by setting a threshold for ATR. Is this filter ATR - average(ATR) ??
Last edited by mingpan.lam; 10-31-2011 at 05:25 PM.